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Bayesian Asymptotic Theory in a Time Series Model with a Possible Nonstationary Process

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  • Kim, Jae-Young
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    File URL: http://journals.cambridge.org/abstract_S0266466600008768
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 10 (1994)
    Issue (Month): 3-4 (August)
    Pages: 764-773

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    Handle: RePEc:cup:etheor:v:10:y:1994:i:3-4:p:764-773_00

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    Cited by:
    1. Afonso, António & Sousa, Ricardo M., 2009. "The macroeconomic effects of fiscal policy," Working Paper Series 0991, European Central Bank.
    2. Christian Julliard, 2002. "The international diversification puzzle is not worse than you think," LSE Research Online Documents on Economics 4814, London School of Economics and Political Science, LSE Library.
    3. Li, Yong & Zeng, Tao & Yu, Jun, 2014. "A new approach to Bayesian hypothesis testing," Journal of Econometrics, Elsevier, vol. 178(P3), pages 602-612.
    4. Peter C.B. Phillips & Werner Ploberger, 1999. "Empirical Limits for Time Series Econometric Models," Cowles Foundation Discussion Papers 1220, Cowles Foundation for Research in Economics, Yale University.
    5. Phillips, Peter C B & Xiao, Zhijie, 1998. " A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-69, December.
    6. Yong Li & Zeng Tao & Jun Yu, . "Robust Deviance Information Criterion for Latent Variable Models," Working Papers CoFie-04-2012, Sim Kee Boon Institute for Financial Economics.
    7. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages C26-C52, March.
    8. John C. Chao & Peter C.B. Phillips, 1997. "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," Cowles Foundation Discussion Papers 1155, Cowles Foundation for Research in Economics, Yale University.
    9. Kwan, Yum K., 1998. "Asymptotic Bayesian analysis based on a limited information estimator," Journal of Econometrics, Elsevier, vol. 88(1), pages 99-121, November.
    10. Christian Julliard, 2003. "The international diversification puzzle is not worse than you think," International Finance 0301004, EconWPA.
    11. Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

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